February 13, 2019

TXPR closed at 623.12, down 0.89% on the day. Volume was a staggering 5.02-million, by far the highest of the past thirty days.

CPD closed at 12.45, down 1.11% on the day. Volume of 144,771 was more or less average in the context of the past thirty days.

ZPR closed at 10.10, down 0.98% on the day. Volume of 180,470 was average in the context of the past thirty days.

Something of this size is almost definitely a big player shifting position, and it looks like a reasonably well executed take-down, provided you ignore the fact that doing it all in one day cost them good money. TXPR was actually up a little on the day until 1:05, when a wave of selling took it down 40bp in a span of 15 minutes. It was then stable until 2:45pm, when another wave took it down 51bp in 20 minutes; it was then fairly stable through the close with no MOC orders.

Click for Big

The first wave, I’d guess, had the purpose of attracting buyers, who were able to satiate their appetites in the second wave.

It doesn’t look like this was in reaction to sudden changes in the five-year Canada yield, which was up 2bp to 1.84% today.

PerpetualDiscounts now yield 5.72%, equivalent to 7.44% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 350bp, a significant widening from the 340bp reported February 6.

HIMIPref™ Preferred IndicesThese values reflect the December 2008 revision of the HIMIPref™ IndicesValues are provisional and are finalized monthly

Index

MeanCurrentYield(at bid)

MedianYTW

MedianAverageTradingValue

MedianMod Dur(YTW)

Issues

Day’s Perf.

Index Value

Ratchet

0.00 %

0.00 %

0

0.00

0

0.1331 %

2,234.1

FixedFloater

0.00 %

0.00 %

0

0.00

0

0.1331 %

4,099.6

Floater

5.25 %

5.45 %

30,016

14.70

4

0.1331 %

2,362.6

OpRet

0.00 %

0.00 %

0

0.00

0

0.1246 %

3,232.8

SplitShare

4.89 %

4.93 %

59,836

3.95

8

0.1246 %

3,860.6

Interest-Bearing

0.00 %

0.00 %

0

0.00

0

0.1246 %

3,012.2

Perpetual-Premium

5.86 %

-0.02 %

85,692

0.08

4

-0.0794 %

2,887.7

Perpetual-Discount

5.58 %

5.72 %

74,278

14.29

31

-0.3412 %

2,980.9

FixedReset Disc

5.18 %

5.48 %

213,762

14.69

65

-1.7059 %

2,189.6

Deemed-Retractible

5.35 %

6.23 %

97,609

8.14

27

-0.1323 %

2,968.5

FloatingReset

4.35 %

5.62 %

58,913

8.45

6

-0.2064 %

2,424.8

FixedReset Prem

5.15 %

4.25 %

309,800

2.28

18

-0.1265 %

2,527.4

FixedReset Bank Non

2.79 %

4.22 %

156,863

2.84

5

-0.1572 %

2,597.1

FixedReset Ins Non

5.05 %

6.99 %

131,727

8.23

22

-0.7318 %

2,203.4

Performance Highlights

Issue

Index

Change

Notes

HSE.PR.E

FixedReset Disc

-5.40 %

A reasonable quote. The issue traded 30,015 shares in a range of 19.77-21.08 (closing at 19.80) and was quoted at 19.80-86.

This entry was posted on Wednesday, February 13th, 2019 at 8:09 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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